EFFICIENT TABLE-FREE SAMPLING METHODS FOR THE EXPONENTIAL, CAUCHY, AND NORMAL-DISTRIBUTIONS

被引：18

作者：

AHRENS, JH ^{[1
]}

DIETER, U ^{[1
]}

机构：

[1] GRAZ TECH UNIV,INST STAT,LESSINGSTR 27,A-8010 GRAZ,AUSTRIA

来源：

COMMUNICATIONS OF THE ACM | 1988年 / 31卷 / 11期

关键词：

COMPUTER PROGRAMMING--Algorithms - PROBABILITY;

D O I：

10.1145/50087.50094

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

Three algorithms for sampling from exponential, Cauchy and normal distributions are developed. They are based on the 'exact approximation' method, and their expected numbers of consumed uniform deviates are less than 1.04 per sample from the target distributions. The algorithms are simple and easily implemented in any desired precision. They require no space for long tables of auxiliary vectors, merely a few constants are needed. Nevertheless, their speed compared well with the performance of much more complex and table-aided sampling procedures.

引用

页码：1330 / 1337

页数：8